COST Options History — August 2008

In August 2008, COST traded between $62.20 and $68.00. ATM implied volatility averaged 26.4%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 16.6% (HV 20d: 43.0%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2008-08-06: Highest Volume — 41,765 contracts
  • 2008-08-11: Largest IV spike — 22.8% change
  • 2008-08-04: Highest IV Rank — 38.2%
  • 2008-08-06: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.33$62.20$68.00$62.20$67.06
Max Pain$65.12$65.00$67.50$67.50$65.00
ATM IV26.4%23.4%30.1%28.5%24.3%
Expected Move7.8%6.9%8.8%8.2%7.0%
HV 20d43.0%19.8%57.8%57.2%20.4%
HV 60d40.1%39.1%40.8%40.2%39.1%
IV Rank23.4%11.5%38.2%32.0%15.0%
IV Percentile27.9%3.2%60.7%52.0%7.1%
Term Structure5.2%0.2%6.6%0.2%6.2%
VWIV27.5%23.8%30.0%28.5%26.5%
Skew 25d4.2%3.5%5.2%4.5%4.1%
Skew 10d7.8%5.9%9.6%7.9%8.2%
Call IV 25d25.2%21.5%27.5%26.8%22.5%
Put IV 25d29.4%26.2%32.3%31.3%26.6%
Bid-Ask Spread %9.977.2213.117.2213.11
Gamma HHI0.170.120.250.250.18
Net GEX-3.9M-12.6M2.2M-6.6M141.3K
Net DEX41.7M-101.0M282.0M282.0M-12.5M
Net VEX-3.2M-3.4M-2.7M-2.8M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.405.232.215.23
Total Volume13,148.0952,86641,7658,8282,866
Total OI320,194.714297,614362,410303,644319,249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$62.20$67.5028.5%8.2%57.2%32.0%28.5%4.5%0.2%-6.6M282.0M-2.8M2.217.222,7476,081139,224164,420
2008-08-04$62.52$65.0030.1%8.5%57.0%38.2%29.9%4.8%4.3%-6.6M270.2M-2.7M0.659.834,3182,803139,524166,262
2008-08-05$64.63$65.0027.5%8.1%57.8%27.7%28.5%4.9%4.5%-5.0M147.5M-2.8M0.6512.927,8565,072140,083166,901
2008-08-06$65.72$65.0028.3%8.8%57.5%30.8%30.0%4.8%5.3%-3.2M57.0M-3.0M2.029.6413,82827,937140,752168,415
2008-08-07$65.82$65.0028.2%8.5%57.3%30.5%29.5%4.7%5.9%-4.8M80.7M-3.3M2.008.208,52517,072143,236184,842
2008-08-08$66.99$65.0023.4%8.0%57.6%11.5%29.5%4.5%5.0%-4.7M4.6M-3.4M2.3310.847,44417,378144,492192,021
2008-08-11$67.10$65.0028.8%8.2%57.6%33.0%28.2%4.0%4.6%-6.6M19.6M-3.4M0.7512.7013,85410,438145,035201,642
2008-08-12$67.78$65.0026.1%8.3%57.8%22.3%29.2%3.7%4.7%-5.9M-33.1M-3.4M0.538.4010,1915,398147,354203,469
2008-08-13$66.95$65.0024.7%8.3%55.5%16.6%28.8%4.1%4.7%-9.3M53.7M-3.3M0.7910.155,4404,278144,206202,960
2008-08-14$67.14$65.0028.4%8.2%54.8%31.5%27.9%4.1%4.9%-12.6M32.6M-3.3M0.4010.7218,1657,293144,919202,890
2008-08-15$68.00$65.0027.7%7.9%54.5%28.4%27.3%3.9%4.4%-6.5M-101.0M-3.3M0.539.747,8664,207158,122204,288
2008-08-18$67.41$65.0027.3%7.8%53.2%26.9%29.1%4.5%4.8%-577.4K-33.6M-3.3M2.8212.972,9028,183124,880172,734
2008-08-19$66.46$65.0026.3%7.5%51.7%22.8%27.2%3.9%5.9%-2.4M32.9M-3.3M2.498.182,7366,804126,239176,460
2008-08-20$65.94$65.0026.6%7.6%24.1%24.3%25.6%4.0%5.8%-3.1M60.2M-3.2M1.179.084,8505,689126,710176,207
2008-08-21$66.25$65.0026.7%7.6%23.9%24.4%26.9%3.5%6.0%-2.5M43.4M-3.2M1.727.661,9133,291127,714177,603
2008-08-22$67.43$65.0024.0%6.9%23.0%13.7%23.8%4.1%6.4%654.9K-39.1M-3.2M1.067.983,5043,722128,599177,779
2008-08-25$66.45$65.0024.6%7.1%21.8%16.3%24.9%3.6%6.6%-1.5M24.6M-3.2M1.6111.851,5862,548130,167179,252
2008-08-26$66.52$65.0024.3%7.0%20.7%14.8%25.0%4.1%6.4%-1.3M25.8M-3.2M2.099.921,1552,409130,327180,351
2008-08-27$66.71$65.0024.3%7.0%19.8%15.0%25.0%3.9%6.4%-1.2M20.0M-3.1M1.159.242,0932,411130,516180,986
2008-08-28$67.81$65.0024.4%7.0%20.1%15.3%25.9%5.2%5.8%2.2M-59.6M-3.1M1.479.033,7535,504131,424181,835
2008-08-29$67.06$65.0024.3%7.0%20.4%15.0%26.5%4.1%6.2%141.3K-12.5M-3.1M5.2313.114602,406134,215185,034